The last line of the log, just confirmed the mysql-proxy were failed to start due admin lua were not set. To skip the admin lua function(assuming that it will not be used). Start the mysql with :sudo mysql-proxy --defaults-file=/etc/mysql/mysql_proxy.cnf --plugins=proxy &

Take note that my post on installing mysql-proxy, the version is 0.8.4 and the stock from ubuntu repository is 0.8.1 .

The first run from the configure will result in configuration error due to dependent libraries/apps were not installed.configure: error: The pkg-config script could not be found or is too old. Make sure it is in your PATH or set the PKG_CONFIG environment variable to the full path to pkg-config.

To proceed install the pkg-config.sudo apt-get install pkg-config

Rerun configure. The error will indicate LUA were not installed.checking pkg-config is at least version 0.9.0... yes checking for LUA... no ... checked for Lua via pkg-config: No package 'lua' found. retrying with lua5.1 checking for LUA... no configure: error: checked for Lua via pkg-config: No package 'lua5.1' found. Make sure lua and its devel-package, which includes the lua5.1.pc (debian and friends) or lua.pc (all others) file, is installed

Rerun the configure, the next error is missing glib.checking pkg-config is at least version 0.9.0... yes checking for LUA... no ... checked for Lua via pkg-config: No package 'lua' found. retrying with lua5.1 checking for LUA... yes checking for GLIB... configure: error: Package requirements (glib-2.0 >= 2.16.0) were not met:

After installing pk-config, lua, glib and libevent, all dependencies should be resolved, continue to rerun configure.

Continue to run the compilation and installation after the is configure completed.sudo make
sudo make install

Test the mysql-proxy. Running mysql-proxy for the first timesudo mysql-proxy

If there is a following error while running mysql-proxy, and the missing library is found proceed with next step.mysql-proxy: error while loading shared libraries: libmysql-chassis.so.0: cannot open shared object file: No such file or directory

To fix the error, run ldconfig .sudo ldconfig

Rerun mysql-proxy. If you are getting the output below means you have successfully installed mysql-proxy.Usage:
mysql-proxy [OPTION...] - MySQL Proxy
Help Options:
-h, --help Show help options
--help-all Show all help options
--help-proxy Show options for the proxy-module
Application Options:
-V, --version Show version
--defaults-file= configuration file
--verbose-shutdown Always log the exit code when shutting down
--daemon Start in daemon-mode
--user= Run mysql-proxy as user
--basedir= Base directory to prepend to relative paths in the config
--pid-file= PID file in case we are started as daemon
--plugin-dir=
path to the plugins
--plugins= plugins to load
--log-level=(error|warning|info|message|debug) log all messages of level ... or higher
--log-file= log all messages in a file
--log-use-syslog log all messages to syslog
--log-backtrace-on-crash try to invoke debugger on crash
--keepalive try to restart the proxy if it crashed
--max-open-files maximum number of open files (ulimit -n)
--event-threads number of event-handling threads (default: 1)
--lua-path= set the LUA_PATH
--lua-cpath= set the LUA_CPATH

For linux or ubuntu user who is lazy to login to remote by typing password or plainly to improve security measure. You may generate a RSA key type to authenticate the login process. Generating the RSA key is the very first step.